问题如下图:题目也没说是parallel shift的change,默认了?考试时候题目就这么默认了是不?
选项:
A.
B.
C.
解释:
NO.PZ2016031001000121 问题如下 A bonportfolio consists of the following three fixerate bon. Assume annucoupon payments anno accrueinterest on the bon. Prices are per 100 of pvalue.The bonportfolio’s mofieration is closest to: A.7.62. B.8.08. C.8.20. A is correct.The portfolio’s mofieration is closest to 7.62.Portfolio ration is commonly estimatethe market-value-weighteaverage of the yielrations of the invibon thcompose the portfolio. The totmarket value of the bonportfolio is 170,000 + 120,000 + 100,000 = 390,000. The portfolio ration is 5.42 × (170,000/390,000) + 8.44 × (120,000/390,000) + 10.38 × (100,000/390,000) = 7.62. 考点portfolio ration解析portfolio ration是组合中每一个债券久期的加权平均,权重是每一个债券市值占总portfolio市值的比例。题干表格中已知每一个债券的mofieration和市值。加总成整个portfolio的总市值,用每个债券自己的总市值除以总市值就可以算出每一个债券的权重,即W1,W2……Wn。然后再代入公式可得组合久期为7.62,故A正确。 这个price是代表一股的价钱?market value是总共这个股票的价钱?
为什么用Market Value, 而不用Price? 什么情况下,A和B的Market Value 比 Pri大了那么多?
这是哪个公式,为什么这么算